I highly recommend this one: Mailwasher
What it does is download your mail into the program's user friendly UI, from there you can choose which ones you want to push forward to your real email program.
If you get emails that you don't want, you simply click a couple boxes that "blacklist" the people who sent you the junk. The email will then "bounce" back to the originator. That bounce signals that your email address is no longer valid to the sender and you'll soon be removed from their lists.
Once you decide which emails you want to ignore and which you want to keep, you click the process button and the good ones are sent to whichever email reader you normally use (Outlook, Outlook Express, etc.) and the bad ones are removed!
It's very effective and very simple to set up and use.
The freebie version does everything I need, I've been using it for over a year now. But if you're hardcore and want the full version you can purchase that also.